Exactly. If you add a non-steam game to steam, you cannot access any of the "features" of the game in steam (like finding friends who are playing it and joining their game.) Unless I am wrong, the only thing you can do is access the Steam "page" from ingame.

Adding non steam games does nothing more then provide a startup icon. Steam has no knowledge of the game in its servers and the game has no knowledge of steam so they share nothing. Unreal 2004 has its own browser system.